Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0385
Annualized Std Dev 0.2248
Annualized Sharpe (Rf=0%) 0.1712

Row

Daily Return Statistics

Close
Observations 4022.0000
NAs 1.0000
Minimum -0.1357
Quartile 1 -0.0064
Median 0.0003
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0073
Maximum 0.1495
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0142
Skewness -0.1842
Kurtosis 11.1430

Downside Risk

Close
Semi Deviation 0.0102
Gain Deviation 0.0100
Loss Deviation 0.0108
Downside Deviation (MAR=210%) 0.0149
Downside Deviation (Rf=0%) 0.0101
Downside Deviation (0%) 0.0101
Maximum Drawdown 0.4461
Historical VaR (95%) -0.0214
Historical ES (95%) -0.0333
Modified VaR (95%) -0.0206
Modified ES (95%) -0.0302
From Trough To Depth Length To Trough Recovery
2008-01-15 2008-11-20 2011-05-31 -0.4461 851 217 634
2015-08-18 2020-03-23 2020-12-16 -0.4162 1344 1157 187
2011-07-01 2011-10-04 2012-12-18 -0.2247 369 66 303
2006-03-13 2006-06-13 2006-10-23 -0.1576 157 65 92
2014-12-01 2015-02-19 2015-07-22 -0.1482 161 55 106

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA 0 -0.8 0.5 1 -1.6 0.3 1.1 2.6 1.9 -2.6 2.2
2006 0 -0.7 0 0.1 2.2 -0.5 0.1 0.8 -0.1 -0.2 -1.5 0.3 0.3
2007 0.2 -2.4 1.1 -0.7 0.4 -0.9 0.7 0.6 1.3 -1.7 0.7 0.3 -0.4
2008 0.1 -1.6 3 4.6 0.3 2.4 -0.3 -2.1 -1.3 0.1 -0.7 3.5 7.9
2009 -1 -4.6 1.2 -0.3 1.6 2.3 -0.3 -2 -0.5 -1.9 0.7 2 -2.9
2010 0.7 0.9 2.2 0 0.1 -0.3 0.5 1.6 0.6 0.1 1.4 1 9.1
2011 1.1 -1 0.9 -0.4 -1.1 -0.7 -2 -1.3 -1.2 -0.3 0 0.3 -5.7
2012 0.9 -0.2 0.8 -0.5 -0.8 3.4 0.2 0.2 0.2 1.1 -1.3 1.9 6.1
2013 -0.6 2 -0.1 -1.1 -0.7 0.8 0.4 0.4 2 0.2 -0.2 2.2 5.3
2014 -0.3 -0.9 2.4 0 -0.8 0 -0.5 1.1 -1.6 3.3 -3.4 -0.6 -1.4
2015 0.3 -0.4 -1.6 -0.1 -0.1 1.2 0.7 0.6 5.2 0.4 0.6 0.8 8
2016 -0.4 1.1 1.4 -0.8 -3 0.7 0.4 -0.8 0.4 -3.2 2 0.1 -2.4
2017 -0.2 1.1 0 0.5 1.1 0.3 1.5 0.6 0.8 0.2 -0.1 1 6.9
2018 -0.6 -0.7 0.8 0.2 0.6 -0.1 0 0.6 1.5 0.7 1.5 1.6 6.1
2019 1.6 2.2 0.8 1.5 -0.6 0.2 0.6 -0.1 -0.8 2 0.2 1.3 9.2
2020 -1.9 -2.2 -6.7 -0.4 1.2 1.5 -0.5 0.2 0.2 0 2.5 -0.9 -7.1
2021 1.3 4.7 0.2 NA NA NA NA NA NA NA NA NA 6.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2005-03-29  25   SPY    117. -0.0066   -0.0133  -0.0404  -0.0331   0.0495   0.0171   -0.219 GLD    42.6  0.0005   -0.0123
2 2005-03-30  25   SPY    118.  0.0142    0.0109  -0.0203  -0.0248   0.0496   0.032    -0.213 GLD    42.6  0.00120  -0.0009
3 2005-03-31  25.0 SPY    118. -0.0019    0.0082  -0.027   -0.028    0.0442   0.0296   -0.226 GLD    42.8  0.0049    0.0094
4 2005-04-01  25   SPY    117. -0.0045    0.0025  -0.0309  -0.0305   0.0383   0.0306   -0.235 GLD    42.6 -0.0047    0.0054
5 2005-04-04  25   SPY    118.  0.0017    0.0027  -0.0296  -0.0268   0.0338   0.0397   -0.226 GLD    42.4 -0.0052   -0.0033
6 2005-04-05  25.0 SPY    118.  0.00480   0.0142  -0.037   -0.0175   0.031    0.049    -0.218 GLD    42.4  0.00120  -0.0026
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart